STATEMENT
OF INVESTMENTS
BNY Mellon Insight Core Plus Fund
July 31, 2024 (Unaudited)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% | |||||||||
Aerospace & Defense - .9% | |||||||||
Rolls-Royce PLC, Gtd. Notes | 5.75 | 10/15/2027 | 3,983,000 | b | 4,033,246 | ||||
The Boeing Company, Sr. Unscd. Notes | 2.20 | 2/4/2026 | 6,887,000 | 6,556,414 | |||||
The Boeing Company, Sr. Unscd. Notes | 5.81 | 5/1/2050 | 5,601,000 | 5,223,099 | |||||
The Boeing Company, Sr. Unscd. Notes | 6.86 | 5/1/2054 | 2,370,000 | b | 2,511,334 | ||||
18,324,093 | |||||||||
Agriculture - .4% | |||||||||
BAT Capital Corp., Gtd. Notes | 6.34 | 8/2/2030 | 1,546,000 | 1,646,314 | |||||
BAT Capital Corp., Gtd. Notes | 7.08 | 8/2/2053 | 556,000 | 616,569 | |||||
BAT International Finance PLC, Gtd. Notes | 1.67 | 3/25/2026 | 1,998,000 | 1,894,659 | |||||
Philip Morris International, Inc., Sr. Unscd. Notes | 2.10 | 5/1/2030 | 3,470,000 | 3,018,948 | |||||
7,176,490 | |||||||||
Airlines - 1.2% | |||||||||
Air Canada, Sr. Scd. Notes | 3.88 | 8/15/2026 | 1,760,000 | b | 1,694,260 | ||||
Air Canada Pass Through Trust, Ser. 2020-2, Cl. A | 5.25 | 4/1/2029 | 915,594 | b | 916,384 | ||||
American Airlines Pass Through Trust, Ser. 2017-1, Cl. AA | 3.65 | 2/15/2029 | 132,500 | 126,300 | |||||
American Airlines Pass Through Trust, Ser. 2017-2, Cl. AA | 3.35 | 10/15/2029 | 194,477 | 181,983 | |||||
American Airlines Pass Through Trust, Ser. 2019-1, Cl. AA | 3.15 | 2/15/2032 | 1,767,227 | 1,621,269 | |||||
American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd. Notes | 5.50 | 4/20/2026 | 1,403,500 | b | 1,395,323 | ||||
American Airlines, Inc./Aadvantage Loyalty IP Ltd., Sr. Scd. Notes | 5.75 | 4/20/2029 | 1,105,000 | b | 1,080,871 | ||||
British Airways Pass Through Trust, Ser. 2020-1, Cl. A | 4.25 | 11/15/2032 | 511,107 | b | 489,811 | ||||
Delta Air Lines, Inc./Skymiles IP Ltd., Sr. Scd. Notes | 4.50 | 10/20/2025 | 299,379 | b | 297,963 | ||||
Delta Air Lines, Inc./Skymiles IP Ltd., Sr. Scd. Notes | 4.75 | 10/20/2028 | 2,009,000 | b | 1,989,454 | ||||
JetBlue Pass Through Trust, Ser. 2020-1, Cl. A | 4.00 | 11/15/2032 | 6,129,987 | 5,817,287 | |||||
United Airlines Pass Through Trust, Ser. 2018-1, Cl. B | 4.60 | 3/1/2026 | 83,744 | 82,418 | |||||
United Airlines Pass Through Trust, Ser. 2019-1, Cl. AA | 4.15 | 8/25/2031 | 837,562 | 800,634 | |||||
United Airlines Pass Through Trust, Ser. 2019-2, Cl. AA | 2.70 | 5/1/2032 | 2,090,958 | 1,834,195 | |||||
United Airlines Pass Through Trust, Ser. 2020-1, Cl. A | 5.88 | 10/15/2027 | 762,969 | 772,565 | |||||
United Airlines Pass Through Trust, Ser. 2023-1, Cl. A | 5.80 | 1/15/2036 | 1,890,789 | 1,937,166 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Airlines - 1.2% (continued) | |||||||||
United Airlines, Inc., Sr. Scd. Notes | 4.38 | 4/15/2026 | 424,000 | b | 413,696 | ||||
United Airlines, Inc., Sr. Scd. Notes | 4.63 | 4/15/2029 | 2,193,000 | b | 2,074,235 | ||||
23,525,814 | |||||||||
Asset-Backed Certificates - 3.8% | |||||||||
AEP Texas Central Transition Funding III LLC, Ser. 2012-1, Cl. A3 | 2.84 | 3/1/2026 | 2,213,075 | 2,193,371 | |||||
Amur Equipment Finance Receivables XI LLC, Ser. 2022-2A, Cl. A2 | 5.30 | 6/21/2028 | 282,126 | b | 282,143 | ||||
Auxilior Term Funding LLC, Ser. 2023-1A, Cl. A2 | 6.18 | 12/15/2028 | 1,028,568 | b | 1,036,292 | ||||
Blackbird Capital II Aircraft Lease Ltd., Ser. 2021-1A, Cl. A | 2.44 | 7/15/2046 | 3,815,097 | b | 3,423,261 | ||||
CF Hippolyta Issuer LLC, Ser. 2020-1, Cl. A1 | 1.69 | 7/15/2060 | 3,240,905 | b | 3,095,400 | ||||
Daimler Trucks Retail Trust, Ser. 2023-1, Cl. A3 | 5.90 | 3/15/2027 | 3,597,000 | 3,631,424 | |||||
DataBank Issuer, Ser. 2021-2A, Cl. A2 | 2.40 | 10/25/2051 | 4,198,000 | b | 3,867,463 | ||||
DB Master Finance LLC, Ser. 2021-1A, Cl. A2I | 2.05 | 11/20/2051 | 4,253,925 | b | 3,958,155 | ||||
Domino's Pizza Master Issuer LLC, Ser. 2021-1A, Cl. A2I | 2.66 | 4/25/2051 | 3,427,090 | b | 3,103,527 | ||||
EnFin Residential Solar Receivables Trust, Ser. 2024-1A, Cl. A | 6.65 | 2/20/2055 | 2,052,433 | b | 2,130,262 | ||||
Flexential Issuer, Ser. 2021-1A, Cl. A2 | 3.25 | 11/27/2051 | 4,035,000 | b | 3,769,819 | ||||
Hilton Grand Vacations Trust, Ser. 2023-1A, Cl. A | 5.72 | 1/25/2038 | 582,266 | b | 594,595 | ||||
InStar Leasing III LLC, Ser. 2021-1A, Cl. A | 2.30 | 2/15/2054 | 1,422,056 | b | 1,287,226 | ||||
MetroNet Infrastructure Issuer LLC, Ser. 2024-1A, Cl. A2 | 6.23 | 4/20/2054 | 425,806 | b | 437,646 | ||||
New Economy Assets Phase 1 Sponsor LLC, Ser. 2021-1, Cl. A1 | 1.91 | 10/20/2061 | 7,596,000 | b | 6,886,291 | ||||
OneMain Financial Issuance Trust, Ser. 2019-2A, Cl. A | 3.14 | 10/14/2036 | 3,801,000 | b | 3,630,299 | ||||
PMT Issuer Trust - FMSR, Ser. 2021-FT1, Cl. A, (1 Month TSFR +3.11%) | 8.46 | 3/25/2026 | 3,714,000 | b,c | 3,739,735 | ||||
Purewest Funding LLC, Ser. 2021-1, Cl. A1 | 4.09 | 12/22/2036 | 1,095,944 | b | 1,066,975 | ||||
Regional Management Issuance Trust, Ser. 2024-1, Cl. A | 5.83 | 7/15/2036 | 981,000 | b | 999,445 | ||||
Slam Ltd., Ser. 2021-1A, Cl. A | 2.43 | 6/15/2046 | 7,482,056 | b | 6,760,437 | ||||
TIF Funding II LLC, Ser. 2021-1A, Cl. A | 1.65 | 2/20/2046 | 2,670,789 | b | 2,354,978 | ||||
TIF Funding III LLC, Ser. 2024-1A, Cl. A | 5.48 | 4/20/2049 | 3,974,100 | b | 4,018,866 | ||||
Tricon American Homes Trust, Ser. 2018-SFR1, Cl. C | 4.04 | 5/17/2037 | 4,000,000 | b | 3,941,865 | ||||
Vantage Data Centers Issuer LLC, Ser. 2021-1A, Cl. A2 | 2.17 | 10/15/2046 | 3,750,000 | b | 3,478,068 | ||||
Willis Engine Structured Trust IV, Ser. 2018-A, Cl. A | 4.75 | 9/15/2043 | 682,889 | b | 666,517 | ||||
Willis Engine Structured Trust VI, Ser. 2021-A, Cl. A | 3.10 | 5/15/2046 | 4,036,141 | b | 3,640,192 | ||||
73,994,252 |
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Asset-Backed Certificates/Auto Receivables - 1.0% | |||||||||
Avis Budget Rental Car Funding AESOP LLC, Ser. 2020-1A, Cl. A | 2.33 | 8/20/2026 | 1,575,000 | b | 1,534,647 | ||||
Bayview Opportunity Master Fund VII LLC, Ser. 2024-CAR1, Cl. A, (1 Month SOFR +1.10%) | 6.45 | 12/26/2031 | 1,084,366 | b,c | 1,088,208 | ||||
Bayview Opportunity Master Fund VII Trust, Ser. 2024-SN1, Cl. C | 5.83 | 12/15/2028 | 1,052,000 | b | 1,062,013 | ||||
Carvana Auto Receivables Trust, Ser. 2021-N1, Cl. C | 1.30 | 1/10/2028 | 1,352,492 | 1,294,370 | |||||
Chesapeake Funding II LLC, Ser. 2023-2A, Cl. A1 | 6.16 | 10/15/2035 | 1,036,048 | b | 1,047,404 | ||||
Credit Acceptance Auto Loan Trust, Ser. 2022-3A, Cl. A | 6.57 | 10/15/2032 | 2,020,000 | b | 2,032,029 | ||||
Ford Credit Auto Owner Trust, Ser. 2024-1, Cl. A | 4.87 | 8/15/2036 | 2,394,000 | b | 2,425,048 | ||||
Merchants Fleet Funding LLC, Ser. 2024-1A, Cl. D | 6.85 | 4/20/2037 | 2,980,000 | b | 3,025,637 | ||||
OSCAR US Funding XVI LLC, Ser. 2024-1A, Cl. A3 | 5.54 | 2/10/2028 | 1,803,000 | b | 1,814,938 | ||||
Santander Drive Auto Receivables Trust, Ser. 2022-5, Cl. A3 | 4.11 | 8/17/2026 | 50,781 | 50,741 | |||||
SFS Auto Receivables Securitization Trust, Ser. 2023-1A, Cl. A2A | 5.89 | 3/22/2027 | 750,433 | b | 751,556 | ||||
Tesla Auto Lease Trust, Ser. 2023-B, Cl. A3 | 6.13 | 9/21/2026 | 3,793,000 | b | 3,818,531 | ||||
US Bank NA, Ser. 2023-1, Cl. B | 6.79 | 8/25/2032 | 334,866 | b | 337,972 | ||||
20,283,094 | |||||||||
Asset-Backed Certificates/Home Equity Loans - .1% | |||||||||
RCKT Mortgage Trust, Ser. 2024-CES2, Cl. A2 | 6.39 | 4/25/2044 | 1,441,865 | b | 1,455,202 | ||||
Asset-Backed Certificates/Student Loans - .1% | |||||||||
Commonbond Student Loan Trust, Ser. 2019-AGS, Cl. A1 | 2.54 | 1/25/2047 | 1,940,423 | b | 1,754,674 | ||||
SMB Private Education Loan Trust, Ser. 2017-B, Cl. A2B, (1 Month TSFR +0.86%) | 6.19 | 10/15/2035 | 24,994 | b,c | 24,960 | ||||
1,779,634 | |||||||||
Automobiles & Components - 1.9% | |||||||||
Ford Motor Credit Co. LLC, Sr. Unscd. Notes | 2.30 | 2/10/2025 | 8,740,000 | 8,578,276 | |||||
Ford Motor Credit Co. LLC, Sr. Unscd. Notes | 4.54 | 8/1/2026 | 3,004,000 | 2,956,604 | |||||
Ford Motor Credit Co. LLC, Sr. Unscd. Notes | 5.80 | 3/5/2027 | 2,491,000 | 2,515,177 | |||||
Ford Motor Credit Co. LLC, Sr. Unscd. Notes | 7.12 | 11/7/2033 | 4,245,000 | 4,535,206 | |||||
General Motors Financial Co., Inc., Sr. Unscd. Notes | 2.35 | 1/8/2031 | 7,880,000 | 6,616,507 | |||||
General Motors Financial Co., Inc., Sr. Unscd. Notes | 3.60 | 6/21/2030 | 4,332,000 | 3,984,305 | |||||
Mercedes-Benz Finance North America LLC, Gtd. Notes | 5.05 | 8/3/2033 | 1,640,000 | b | 1,654,219 | ||||
Stellantis Finance US, Inc., Gtd. Notes | 2.69 | 9/15/2031 | 2,301,000 | b | 1,928,733 | ||||
Volkswagen Group of America Finance LLC, Gtd. Notes | 6.45 | 11/16/2030 | 4,420,000 | b | 4,745,568 | ||||
37,514,595 | |||||||||
Banks - 8.8% | |||||||||
Bank of America Corp., Sr. Unscd. Notes | 3.42 | 12/20/2028 | 1,282,000 | 1,225,470 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Banks - 8.8% (continued) | |||||||||
Bank of America Corp., Sr. Unscd. Notes | 3.50 | 4/19/2026 | 1,635,000 | 1,600,934 | |||||
Bank of America Corp., Sr. Unscd. Notes | 3.97 | 3/5/2029 | 5,190,000 | 5,036,617 | |||||
Bank of America Corp., Sr. Unscd. Notes | 5.29 | 4/25/2034 | 12,262,000 | 12,382,075 | |||||
Bank of America Corp., Sr. Unscd. Notes | 5.47 | 1/23/2035 | 2,261,000 | 2,312,802 | |||||
Bank of Montreal, Jr. Sub. Notes | 7.30 | 11/26/2084 | 5,955,000 | 6,028,175 | |||||
Citigroup, Inc., Jr. Sub. Bonds, Ser. W | 4.00 | 12/10/2025 | 2,385,000 | d | 2,289,167 | ||||
Citizens Bank NA/Providence RI, Sr. Unscd. Notes | 2.25 | 4/28/2025 | 580,000 | 565,528 | |||||
Citizens Bank NA/Providence RI, Sr. Unscd. Notes | 6.06 | 10/24/2025 | 3,855,000 | 3,846,338 | |||||
Citizens Financial Group, Inc., Sr. Unscd. Notes | 5.72 | 7/23/2032 | 3,648,000 | 3,694,355 | |||||
Citizens Financial Group, Inc., Sr. Unscd. Notes | 5.84 | 1/23/2030 | 1,264,000 | 1,285,397 | |||||
Citizens Financial Group, Inc., Sr. Unscd. Notes | 6.65 | 4/25/2035 | 1,712,000 | e | 1,825,060 | ||||
Danske Bank A/S, Sr. Notes | 5.71 | 3/1/2030 | 6,259,000 | b | 6,403,996 | ||||
Fifth Third Bancorp, Sr. Unscd. Notes | 2.38 | 1/28/2025 | 3,333,000 | 3,281,257 | |||||
HSBC Capital Funding Dollar 1 LP, Gtd. Notes | 10.18 | 6/30/2030 | 325,000 | b,d | 402,448 | ||||
HSBC Holdings PLC, Jr. Sub. Notes | 4.60 | 12/17/2030 | 5,303,000 | d | 4,610,340 | ||||
ING Groep NV, Sr. Unscd. Notes | 3.87 | 3/28/2026 | 5,462,000 | 5,409,204 | |||||
JPMorgan Chase & Co., Jr. Sub. Notes, Ser. HH | 4.60 | 2/1/2025 | 663,000 | d | 659,673 | ||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 2.58 | 4/22/2032 | 10,300,000 | 8,888,306 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 3.96 | 1/29/2027 | 2,670,000 | 2,630,026 | |||||
JPMorgan Chase & Co., Sr. Unscd. Notes | 5.30 | 7/24/2029 | 3,656,000 | 3,721,902 | |||||
JPMorgan Chase & Co., Sub. Notes | 5.72 | 9/14/2033 | 6,225,000 | 6,450,008 | |||||
Morgan Stanley, Sr. Unscd. Notes | 4.43 | 1/23/2030 | 6,852,000 | 6,736,373 | |||||
Morgan Stanley, Sr. Unscd. Notes | 6.63 | 11/1/2034 | 6,110,000 | 6,739,289 | |||||
Morgan Stanley, Sub. Notes | 4.35 | 9/8/2026 | 2,500,000 | 2,470,295 | |||||
Santander Holdings USA, Inc., Sr. Unscd. Notes | 6.50 | 3/9/2029 | 875,000 | 903,885 | |||||
State Street Corp., Jr. Sub. Notes, Ser. I | 6.70 | 3/15/2029 | 3,436,000 | d | 3,448,249 | ||||
The Goldman Sachs Group, Inc., Sr. Unscd. Notes | 2.62 | 4/22/2032 | 9,150,000 | 7,863,297 | |||||
The Goldman Sachs Group, Inc., Sr. Unscd. Notes | 3.69 | 6/5/2028 | 700,000 | 677,698 | |||||
The Goldman Sachs Group, Inc., Sr. Unscd. Notes | 3.81 | 4/23/2029 | 1,205,000 | 1,159,299 | |||||
The Goldman Sachs Group, Inc., Sr. Unscd. Notes | 4.48 | 8/23/2028 | 1,810,000 | 1,788,665 | |||||
The PNC Financial Services Group, Inc., Sr. Unscd. Notes | 5.30 | 1/21/2028 | 2,278,000 | 2,299,247 | |||||
The PNC Financial Services Group, Inc., Sr. Unscd. Notes | 6.62 | 10/20/2027 | 2,252,000 | 2,332,609 | |||||
The Toronto-Dominion Bank, Jr. Sub. Notes | 7.25 | 7/31/2084 | 5,637,000 | 5,678,223 | |||||
Truist Financial Corp., Sr. Unscd. Notes | 5.71 | 1/24/2035 | 10,701,000 | 10,945,329 | |||||
Truist Financial Corp., Sr. Unscd. Notes | 5.87 | 6/8/2034 | 804,000 | 830,054 | |||||
Truist Financial Corp., Sr. Unscd. Notes | 7.16 | 10/30/2029 | 1,221,000 | 1,315,504 | |||||
U.S. Bancorp, Sr. Unscd. Notes | 5.68 | 1/23/2035 | 3,734,000 | 3,836,786 | |||||
U.S. Bancorp, Sr. Unscd. Notes | 5.84 | 6/12/2034 | 1,165,000 | 1,209,885 | |||||
UBS Group AG, Sr. Unscd. Notes | 2.59 | 9/11/2025 | 2,867,000 | b | 2,857,270 | ||||
UBS Group AG, Sr. Unscd. Notes | 3.09 | 5/14/2032 | 722,000 | b | 631,348 | ||||
UBS Group AG, Sr. Unscd. Notes | 5.70 | 2/8/2035 | 2,399,000 | b | 2,455,871 |
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Banks - 8.8% (continued) | |||||||||
UBS Group AG, Sr. Unscd. Notes | 6.54 | 8/12/2033 | 914,000 | b | 982,333 | ||||
Wells Fargo & Co., Jr. Sub. Notes, Ser. BB | 3.90 | 3/15/2026 | 5,274,000 | d | 5,062,257 | ||||
Wells Fargo & Co., Sr. Unscd. Notes | 5.20 | 1/23/2030 | 2,257,000 | 2,284,981 | |||||
Wells Fargo & Co., Sr. Unscd. Notes | 5.57 | 7/25/2029 | 3,779,000 | 3,870,514 | |||||
Wells Fargo & Co., Sr. Unscd. Notes | 6.49 | 10/23/2034 | 6,190,000 | 6,747,594 | |||||
Westpac Banking Corp., Sub. Notes | 2.67 | 11/15/2035 | 4,651,000 | 3,953,168 | |||||
173,629,101 | |||||||||
Beverage Products - .1% | |||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., Gtd. Notes | 4.70 | 2/1/2036 | 1,385,000 | 1,353,876 | |||||
Building Materials - .8% | |||||||||
Builders FirstSource, Inc., Gtd. Notes | 6.38 | 3/1/2034 | 4,495,000 | b | 4,539,222 | ||||
Cemex SAB de CV, Sub. Notes | 9.13 | 3/14/2028 | 964,000 | b,d | 1,040,384 | ||||
Owens Corning, Sr. Unscd. Notes | 3.50 | 2/15/2030 | 368,000 | b | 341,857 | ||||
Smyrna Ready Mix Concrete LLC, Sr. Scd. Notes | 6.00 | 11/1/2028 | 2,160,000 | b | 2,141,985 | ||||
Smyrna Ready Mix Concrete LLC, Sr. Scd. Notes | 8.88 | 11/15/2031 | 7,385,000 | b | 7,964,087 | ||||
16,027,535 | |||||||||
Chemicals - .7% | |||||||||
Braskem Netherlands Finance BV, Gtd. Notes | 4.50 | 1/31/2030 | 2,718,000 | b | 2,352,135 | ||||
Celanese US Holdings LLC, Gtd. Bonds | EUR | 5.34 | 1/19/2029 | 4,000,000 | 4,614,144 | ||||
Celanese US Holdings LLC, Gtd. Notes | 6.55 | 11/15/2030 | 2,381,000 | 2,535,829 | |||||
Solvay Finance America LLC, Gtd. Notes | 5.85 | 6/4/2034 | 3,672,000 | b | 3,769,225 | ||||
13,271,333 | |||||||||
Collateralized Loan Obligations Debt - 3.0% | |||||||||
Antares Ltd. CLO, Ser. 2017-1A, Cl. BR, (3 Month TSFR +2.26%) | 7.54 | 4/20/2033 | 275,000 | b,c | 275,476 | ||||
Apidos XXXIX Ltd. CLO, Ser. 2022-39A, Cl. A1, (3 Month TSFR +1.30%) | 6.58 | 4/21/2035 | 5,000,000 | b,c | 5,006,805 | ||||
BlackRock Shasta XIII LLC CLO, Ser. 2024-1A, Cl. A1, (3 Month TSFR +1.85%) | 7.15 | 7/15/2036 | 6,000,000 | b,c | 6,023,172 | ||||
Cerberus Loan Funding XLV LLC CLO, Ser. 2024-1A, Cl. A, (3 Month TSFR +1.90%) | 7.20 | 4/15/2036 | 5,000,000 | b,c | 5,018,740 | ||||
Fortress Credit Opportunities IX Ltd. CLO, Ser. 2017-9A, Cl. A1TR, (3 Month TSFR +1.81%) | 7.11 | 10/15/2033 | 1,800,000 | b,c | 1,801,199 | ||||
Fortress Credit Opportunities XVII Ltd. CLO, Ser. 2022-17A, Cl. A, (3 Month TSFR +1.37%) | 6.67 | 1/15/2030 | 29,897 | b,c | 29,918 | ||||
Golub Capital Partners Ltd. CLO, Ser. 2020-47A, Cl. CR, (3 Month TSFR +2.40%) | 7.73 | 8/5/2037 | 5,481,000 | b,c | 5,481,000 | ||||
IVY Hill Middle Market Credit Fund XII Ltd. CLO, Ser. 12A, Cl. A2AR, (3 Month TSFR +2.16%) | 7.44 | 7/20/2033 | 340,000 | b,c | 340,650 | ||||
IVY Hill Middle Market Credit Fund XVIII Ltd. CLO, Ser. 18A, Cl. A, (3 Month TSFR +1.76%) | 7.04 | 4/22/2033 | 7,850,000 | b,c | 7,865,441 | ||||
MCF CLO VIII Ltd., Ser. 2018-1A, Cl. AR, (3 Month TSFR +1.95%) | 7.25 | 4/18/2036 | 4,550,000 | b,c | 4,567,595 | ||||
MCF CLO VIII Ltd., Ser. 2018-1A, Cl. CR, (3 Month TSFR +3.10%) | 8.40 | 4/18/2036 | 6,500,000 | b,c | 6,558,103 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Collateralized Loan Obligations Debt - 3.0% (continued) | |||||||||
MF1 Ltd. CLO, Ser. 2021-FL7, Cl. AS, (1 Month TSFR +1.56%) | 6.90 | 10/16/2036 | 6,578,500 | b,c | 6,524,364 | ||||
MF1 Ltd. CLO, Ser. 2022-FL8, Cl. A, (1 Month TSFR +1.35%) | 6.69 | 2/19/2037 | 3,327,843 | b,c | 3,302,861 | ||||
Neuberger Berman Loan Advisers 47 Ltd. CLO, Ser. 2022-47A, Cl. A, (3 Month TSFR +1.30%) | 6.60 | 4/14/2035 | 5,680,688 | b,c | 5,691,635 | ||||
58,486,959 | |||||||||
Commercial & Professional Services - 1.5% | |||||||||
Ashtead Capital, Inc., Gtd. Notes | 4.00 | 5/1/2028 | 1,386,000 | b | 1,330,089 | ||||
Ashtead Capital, Inc., Gtd. Notes | 5.95 | 10/15/2033 | 2,656,000 | b | 2,729,642 | ||||
DP World Ltd./United Arab Emirates, Sr. Unscd. Notes | 6.85 | 7/2/2037 | 690,000 | 761,575 | |||||
ERAC USA Finance LLC, Gtd. Bonds | 4.50 | 2/15/2045 | 3,160,000 | b | 2,817,058 | ||||
ERAC USA Finance LLC, Gtd. Notes | 3.85 | 11/15/2024 | 1,895,000 | b | 1,886,259 | ||||
ERAC USA Finance LLC, Gtd. Notes | 5.20 | 10/30/2034 | 2,830,000 | b | 2,873,576 | ||||
Global Payments, Inc., Sr. Unscd. Notes | 5.40 | 8/15/2032 | 1,159,000 | 1,159,408 | |||||
Herc Holdings, Inc., Gtd. Notes | 5.50 | 7/15/2027 | 1,764,000 | b | 1,750,754 | ||||
Herc Holdings, Inc., Gtd. Notes | 6.63 | 6/15/2029 | 3,875,000 | b | 3,959,370 | ||||
Prime Security Services Borrower LLC/Prime Finance, Inc., Sr. Scd. Notes | 3.38 | 8/31/2027 | 2,188,000 | b | 2,043,987 | ||||
Triton Container International Ltd., Gtd. Notes | 3.15 | 6/15/2031 | 1,146,000 | b | 977,203 | ||||
United Rentals North America, Inc., Gtd. Notes | 6.13 | 3/15/2034 | 4,884,000 | b | 4,913,128 | ||||
Williams Scotsman, Inc., Sr. Scd. Notes | 6.63 | 6/15/2029 | 2,123,000 | b | 2,163,591 | ||||
29,365,640 | |||||||||
Commercial Mortgage Pass-Through Certificates - 2.0% | |||||||||
Angel Oak Mortgage Trust, Ser. 2024-3, Cl. A2 | 4.80 | 11/26/2068 | 379,240 | b | 371,349 | ||||
BRAVO Residential Funding Trust, Ser. 2023-NQM5, Cl. A2 | 6.86 | 6/25/2063 | 1,150,109 | b | 1,161,438 | ||||
BXHPP Trust, Ser. 2021-FILM, Cl. C, (1 Month TSFR +1.21%) | 6.54 | 8/15/2036 | 1,181,000 | b,c | 1,106,980 | ||||
COLT Mortgage Loan Trust, Ser. 2023-3, Cl. A2 | 7.43 | 9/25/2068 | 2,670,551 | b | 2,709,549 | ||||
Commercial Mortgage Trust, Ser. 2015-DC1, Cl. A5 | 3.35 | 2/10/2048 | 2,570,000 | 2,539,939 | |||||
Commercial Mortgage Trust, Ser. 2020-CX, Cl. D | 2.68 | 11/10/2046 | 705,000 | b | 551,136 | ||||
Cross Mortgage Trust, Ser. 2024-H2, Cl. A2 | 6.42 | 4/25/2069 | 1,120,684 | b | 1,126,949 | ||||
Cross Mortgage Trust, Ser. 2024-H2, Cl. A3 | 6.52 | 4/25/2069 | 1,450,723 | b | 1,458,807 | ||||
Cross Mortgage Trust, Ser. 2024-H3, Cl. A2 | 6.58 | 6/25/2069 | 2,962,628 | b | 2,988,669 | ||||
GS Mortgage-Backed Securities Trust, Ser. 2024-HE1, Cl. A1, (1 Month SOFR +1.60%) | 6.95 | 8/25/2054 | 6,918,564 | b,c | 6,931,135 | ||||
Houston Galleria Mall Trust, Ser. 2015-HGLR, Cl. A1A2 | 3.09 | 3/5/2037 | 865,000 | b | 846,189 | ||||
Imperial Fund Mortgage Trust, Ser. 2023-NQM1, Cl. A1 | 5.94 | 2/25/2068 | 1,140,715 | b | 1,136,578 | ||||
JP Morgan Mortgage Trust, Ser. 2024-CES1, Cl. A2 | 6.15 | 6/25/2054 | 1,905,618 | b | 1,923,861 |
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Commercial Mortgage Pass-Through Certificates - 2.0% (continued) | |||||||||
New Residential Mortgage Loan Trust, Ser. 2021-NQ2R, Cl. A1 | 0.94 | 10/25/2058 | 979,501 | b | 908,303 | ||||
New Residential Mortgage Loan Trust, Ser. 2022-NQM1, Cl. A1 | 2.28 | 4/25/2061 | 6,051,932 | b | 5,277,219 | ||||
NYMT Loan Trust, Ser. 2024-BPL2, Cl. A1 | 6.51 | 5/25/2039 | 4,605,000 | b | 4,664,259 | ||||
Towd Point Mortgage Trust, Ser. 2023-1, Cl. A1 | 3.75 | 1/25/2063 | 1,003,550 | b | 955,767 | ||||
Verus Securitization Trust, Ser. 2020-1, Cl. A1 | 3.42 | 1/25/2060 | 153,753 | b | 148,965 | ||||
Wells Fargo Commercial Mortgage Trust, Ser. 2015-C31, Cl. A3 | 3.43 | 11/15/2048 | 1,961,531 | 1,924,375 | |||||
38,731,467 | |||||||||
Consumer Discretionary - 2.0% | |||||||||
Caesars Entertainment, Inc., Gtd. Notes | 8.13 | 7/1/2027 | 1,190,000 | b | 1,216,280 | ||||
Caesars Entertainment, Inc., Sr. Scd. Notes | 6.50 | 2/15/2032 | 292,000 | b | 296,036 | ||||
Caesars Entertainment, Inc., Sr. Scd. Notes | 7.00 | 2/15/2030 | 1,288,000 | b | 1,329,480 | ||||
Carnival Corp., Gtd. Notes | 6.00 | 5/1/2029 | 2,000,000 | b,e | 1,996,390 | ||||
Carnival Holdings Bermuda Ltd., Gtd. Notes | 10.38 | 5/1/2028 | 4,650,000 | b | 5,029,749 | ||||
International Game Technology PLC, Sr. Scd. Notes | 5.25 | 1/15/2029 | 4,740,000 | b | 4,651,383 | ||||
Las Vegas Sands Corp., Sr. Unscd. Notes | 3.50 | 8/18/2026 | 5,000,000 | 4,822,689 | |||||
MGM China Holdings Ltd., Sr. Unscd. Notes | 4.75 | 2/1/2027 | 2,671,000 | b | 2,551,232 | ||||
NCL Corp. Ltd., Sr. Unscd. Notes | 7.75 | 2/15/2029 | 4,420,000 | b,e | 4,654,751 | ||||
Whirlpool Corp., Sr. Unscd. Notes | 5.75 | 3/1/2034 | 3,889,000 | 3,925,004 | |||||
Wynn Macau Ltd., Sr. Unscd. Notes | 5.63 | 8/26/2028 | 8,690,000 | b | 8,237,284 | ||||
38,710,278 | |||||||||
Diversified Financials - 1.3% | |||||||||
AerCap Holdings NV, Gtd. Notes | 5.88 | 10/10/2079 | 3,600,000 | 3,593,956 | |||||
Aercap Ireland Capital DAC/AerCap Global Aviation Trust, Gtd. Notes | 3.30 | 1/30/2032 | 5,348,000 | 4,710,750 | |||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Gtd. Notes | 6.95 | 3/10/2055 | 778,000 | 787,043 | |||||
Aircastle Ltd./Aircastle Ireland DAC, Sr. Unscd. Notes | 5.75 | 10/1/2031 | 1,539,000 | b | 1,549,345 | ||||
Ally Financial, Inc., Gtd. Notes | 8.00 | 11/1/2031 | 4,581,000 | 5,159,238 | |||||
Discover Financial Services, Sr. Unscd. Notes | 6.70 | 11/29/2032 | 1,026,000 | 1,104,907 | |||||
LSEGA Financing PLC, Gtd. Notes | 1.38 | 4/6/2026 | 3,953,000 | b | 3,727,687 | ||||
LSEGA Financing PLC, Gtd. Notes | 2.50 | 4/6/2031 | 1,701,000 | b | 1,464,990 | ||||
Macquarie Airfinance Holdings Ltd., Sr. Unscd. Notes | 6.50 | 3/26/2031 | 2,102,000 | b | 2,183,101 | ||||
Nasdaq, Inc., Sr. Unscd. Notes | 5.35 | 6/28/2028 | 1,069,000 | 1,095,908 | |||||
25,376,925 | |||||||||
Energy - 6.3% | |||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp., Gtd. Notes | 6.63 | 2/1/2032 | 5,374,000 | b | 5,486,059 | ||||
BP Capital Markets PLC, Gtd. Notes | 4.38 | 6/22/2025 | 933,000 | d | 918,038 | ||||
Cheniere Energy Partners LP, Gtd. Notes | 3.25 | 1/31/2032 | 650,000 | 567,547 | |||||
Cheniere Energy Partners LP, Gtd. Notes | 5.95 | 6/30/2033 | 662,000 | 684,279 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Energy - 6.3% (continued) | |||||||||
Cheniere Energy, Inc., Sr. Unscd. Notes | 5.65 | 4/15/2034 | 1,317,000 | b | 1,339,118 | ||||
CITGO Petroleum Corp., Sr. Scd. Notes | 7.00 | 6/15/2025 | 5,052,000 | b | 5,052,762 | ||||
CITGO Petroleum Corp., Sr. Scd. Notes | 8.38 | 1/15/2029 | 5,091,000 | b | 5,309,134 | ||||
Columbia Pipelines Holding Co. LLC, Sr. Unscd. Notes | 6.06 | 8/15/2026 | 552,000 | b | 560,813 | ||||
Columbia Pipelines Operating Co. LLC, Sr. Unscd. Notes | 6.54 | 11/15/2053 | 1,220,000 | b | 1,323,080 | ||||
CVR Energy, Inc., Gtd. Bonds | 5.75 | 2/15/2028 | 5,173,000 | b | 4,880,962 | ||||
Diamondback Energy, Inc., Gtd. Notes | 5.40 | 4/18/2034 | 1,457,000 | 1,475,554 | |||||
Diamondback Energy, Inc., Gtd. Notes | 5.75 | 4/18/2054 | 2,694,000 | 2,668,826 | |||||
DT Midstream, Inc., Sr. Scd. Notes | 4.30 | 4/15/2032 | 2,982,000 | b | 2,742,878 | ||||
Empresa Nacional del Petroleo, Sr. Unscd. Notes | 5.95 | 7/30/2034 | 681,000 | b | 681,681 | ||||
Enbridge, Inc., Gtd. Notes | 6.70 | 11/15/2053 | 1,894,000 | 2,117,856 | |||||
Enbridge, Inc., Jr. Sub. Notes | 7.38 | 3/15/2055 | 5,806,000 | 5,897,735 | |||||
Energy Transfer LP, Gtd. Notes | 7.38 | 2/1/2031 | 2,625,000 | b | 2,774,032 | ||||
Energy Transfer LP, Jr. Sub. Notes, Ser. G | 7.13 | 5/15/2030 | 1,004,000 | d | 1,003,310 | ||||
Energy Transfer LP, Sr. Unscd. Notes | 3.75 | 5/15/2030 | 1,690,000 | 1,592,560 | |||||
Energy Transfer LP, Sr. Unscd. Notes | 5.00 | 5/15/2050 | 1,703,000 | 1,486,546 | |||||
Energy Transfer LP, Sr. Unscd. Notes | 5.15 | 2/1/2043 | 1,085,000 | 978,455 | |||||
Energy Transfer LP, Sr. Unscd. Notes | 5.25 | 7/1/2029 | 7,572,000 | 7,658,894 | |||||
Energy Transfer LP, Sr. Unscd. Notes | 5.55 | 5/15/2034 | 538,000 | 543,231 | |||||
Energy Transfer LP, Sr. Unscd. Notes | 5.95 | 5/15/2054 | 1,332,000 | 1,316,363 | |||||
Enterprise Products Operating LLC, Gtd. Notes | 3.30 | 2/15/2053 | 2,616,000 | 1,817,478 | |||||
Global Partners LP/GLP Finance Corp., Gtd. Notes | 6.88 | 1/15/2029 | 1,870,000 | 1,866,117 | |||||
Global Partners LP/GLP Finance Corp., Gtd. Notes | 8.25 | 1/15/2032 | 4,519,000 | b | 4,644,984 | ||||
Hess Midstream Operations LP, Gtd. Notes | 5.13 | 6/15/2028 | 540,000 | b | 526,022 | ||||
Hess Midstream Operations LP, Gtd. Notes | 5.50 | 10/15/2030 | 1,855,000 | b | 1,803,376 | ||||
Howard Midstream Energy Partners LLC, Sr. Unscd. Notes | 7.38 | 7/15/2032 | 1,201,000 | b | 1,237,688 | ||||
Howard Midstream Energy Partners LLC, Sr. Unscd. Notes | 8.88 | 7/15/2028 | 2,778,000 | b | 2,958,803 | ||||
MPLX LP, Sr. Unscd. Notes | 2.65 | 8/15/2030 | 5,900,000 | 5,211,577 | |||||
MPLX LP, Sr. Unscd. Notes | 4.13 | 3/1/2027 | 855,000 | 840,014 | |||||
MPLX LP, Sr. Unscd. Notes | 5.20 | 12/1/2047 | 1,180,000 | 1,075,320 | |||||
NGPL PipeCo LLC, Sr. Unscd. Notes | 3.25 | 7/15/2031 | 2,644,000 | b | 2,313,955 | ||||
NGPL PipeCo LLC, Sr. Unscd. Notes | 7.77 | 12/15/2037 | 2,180,000 | b | 2,556,220 | ||||
Occidental Petroleum Corp., Sr. Unscd. Notes | 6.45 | 9/15/2036 | 8,300,000 | 8,872,160 | |||||
Occidental Petroleum Corp., Sr. Unscd. Notes | 6.63 | 9/1/2030 | 4,934,000 | 5,269,083 | |||||
ONEOK, Inc., Gtd. Notes | 5.80 | 11/1/2030 | 1,366,000 | 1,427,738 | |||||
ONEOK, Inc., Gtd. Notes | 6.05 | 9/1/2033 | 6,445,000 | 6,784,547 | |||||
ONEOK, Inc., Gtd. Notes | 6.10 | 11/15/2032 | 779,000 | 823,683 | |||||
Petroleos Del Peru SA, Sr. Unscd. Notes | 4.75 | 6/19/2032 | 2,270,000 | b | 1,710,793 | ||||
Saudi Arabian Oil Co., Sr. Unscd. Notes | 5.75 | 7/17/2054 | 2,985,000 | b | 2,930,076 |
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Energy - 6.3% (continued) | |||||||||
SM Energy Co., Sr. Unscd. Notes | 6.75 | 8/1/2029 | 2,722,000 | b | 2,741,745 | ||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes | 4.88 | 2/1/2031 | 1,595,000 | 1,547,191 | |||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes | 5.00 | 1/15/2028 | 1,136,000 | 1,126,237 | |||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes | 5.50 | 3/1/2030 | 5,070,000 | 5,084,860 | |||||
124,229,380 | |||||||||
Environmental Control - .2% | |||||||||
Wrangler Holdco Corp., Gtd. Notes | 6.63 | 4/1/2032 | 3,952,000 | b | 3,969,626 | ||||
Food Products - .8% | |||||||||
Bimbo Bakeries USA, Inc., Gtd. Notes | 4.00 | 5/17/2051 | 2,595,000 | b | 2,022,098 | ||||
Bimbo Bakeries USA, Inc., Gtd. Notes | 5.38 | 1/9/2036 | 417,000 | b | 416,573 | ||||
Bimbo Bakeries USA, Inc., Gtd. Notes | 6.40 | 1/15/2034 | 3,274,000 | b | 3,535,331 | ||||
JBS USA Holding Lux Sarl/JBS USA Food Co./JBS Lux Co. Sarl, Gtd. Notes | 3.63 | 1/15/2032 | 1,477,000 | 1,291,673 | |||||
MARB BondCo PLC, Gtd. Bonds | 3.95 | 1/29/2031 | 1,426,000 | b | 1,186,427 | ||||
NBM US Holdings, Inc., Gtd. Notes | 6.63 | 8/6/2029 | 1,525,000 | b | 1,512,794 | ||||
The J.M. Smucker Company, Sr. Unscd. Notes | 4.25 | 3/15/2035 | 6,000,000 | 5,543,004 | |||||
The J.M. Smucker Company, Sr. Unscd. Notes | 6.50 | 11/15/2053 | 921,000 | 1,021,489 | |||||
16,529,389 | |||||||||
Foreign Governmental - 2.7% | |||||||||
Hungary, Sr. Unscd. Notes | 6.75 | 9/25/2052 | 790,000 | b | 856,419 | ||||
Israel, Sr. Unscd. Notes | 5.75 | 3/12/2054 | 3,492,000 | 3,238,132 | |||||
Peru, Sr. Unscd. Bonds | PEN | 7.30 | 8/12/2033 | 54,415,000 | b | 15,073,051 | |||
Poland, Sr. Unscd. Notes | 5.50 | 3/18/2054 | 7,027,000 | 6,939,022 | |||||
Romania, Bonds, Ser. 10Y | RON | 7.20 | 10/30/2033 | 60,275,000 | 13,580,650 | ||||
Treasury Corp. of Victoria, Govt. Gtd. Notes | AUD | 5.25 | 9/15/2038 | 21,400,000 | 13,857,281 | ||||
53,544,555 | |||||||||
Forest Products & Paper - .1% | |||||||||
Suzano Austria GmbH, Gtd. Notes | 3.75 | 1/15/2031 | 1,516,000 | 1,345,903 | |||||
Health Care - 1.2% | |||||||||
Amgen, Inc., Sr. Unscd. Notes | 5.25 | 3/2/2030 | 693,000 | 711,691 | |||||
Amgen, Inc., Sr. Unscd. Notes | 5.65 | 3/2/2053 | 1,659,000 | 1,672,827 | |||||
Bayer US Finance II LLC, Gtd. Notes | 4.63 | 6/25/2038 | 1,807,000 | b | 1,571,411 | ||||
Bayer US Finance LLC, Gtd. Notes | 6.50 | 11/21/2033 | 2,095,000 | b | 2,201,255 | ||||
CVS Health Corp., Sr. Unscd. Notes | 1.30 | 8/21/2027 | 2,627,000 | 2,363,319 | |||||
CVS Health Corp., Sr. Unscd. Notes | 4.25 | 4/1/2050 | 1,660,000 | 1,302,301 | |||||
CVS Health Corp., Sr. Unscd. Notes | 5.05 | 3/25/2048 | 700,000 | 617,744 | |||||
Endo Finance Holdings, Inc., Sr. Scd. Notes | 8.50 | 4/15/2031 | 505,000 | b | 532,861 | ||||
HCA, Inc., Gtd. Notes | 3.13 | 3/15/2027 | 851,000 | 815,258 | |||||
Royalty Pharma PLC, Gtd. Notes | 2.15 | 9/2/2031 | 2,258,000 | e | 1,868,421 | ||||
Royalty Pharma PLC, Gtd. Notes | 2.20 | 9/2/2030 | 4,242,000 | 3,625,761 | |||||
STERIS Irish FinCo Unlimited Co., Gtd. Notes | 2.70 | 3/15/2031 | 1,724,000 | 1,487,144 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Health Care - 1.2% (continued) | |||||||||
Teva Pharmaceutical Finance Netherlands III BV, Gtd. Notes | 5.13 | 5/9/2029 | 555,000 | e | 539,188 | ||||
UnitedHealth Group, Inc., Sr. Unscd. Notes | 3.05 | 5/15/2041 | 2,964,000 | 2,243,754 | |||||
Zimmer Biomet Holdings, Inc., Sr. Unscd. Notes | 5.35 | 12/1/2028 | 2,323,000 | 2,377,875 | |||||
23,930,810 | |||||||||
Industrial - .7% | |||||||||
Benteler International AG, Sr. Scd. Notes | 10.50 | 5/15/2028 | 4,914,000 | b | 5,230,673 | ||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Sr. Unscd. Notes | 1.20 | 11/15/2025 | 3,470,000 | b | 3,302,205 | ||||
TK Elevator US Newco, Inc., Sr. Scd. Notes | 5.25 | 7/15/2027 | 6,231,000 | b | 6,114,517 | ||||
14,647,395 | |||||||||
Information Technology - .4% | |||||||||
Fiserv, Inc., Sr. Unscd. Notes | 5.60 | 3/2/2033 | 795,000 | 823,224 | |||||
Salesforce, Inc., Sr. Unscd. Notes | 2.90 | 7/15/2051 | 5,020,000 | 3,335,309 | |||||
VMware LLC, Sr. Unscd. Notes | 2.20 | 8/15/2031 | 3,657,000 | 3,055,698 | |||||
7,214,231 | |||||||||
Insurance - 1.3% | |||||||||
Allianz SE, Jr. Sub. Bonds | 3.20 | 10/30/2027 | 1,800,000 | b,d | 1,523,573 | ||||
Allianz SE, Jr. Sub. Notes | 3.50 | 11/17/2025 | 1,600,000 | b,d | 1,518,511 | ||||
American International Group, Inc., Sr. Unscd. Notes | 4.38 | 6/30/2050 | 4,150,000 | 3,538,234 | |||||
Corebridge Financial, Inc., Sr. Unscd. Notes | 5.75 | 1/15/2034 | 4,058,000 | 4,180,533 | |||||
MetLife, Inc., Jr. Sub. Bonds | 9.25 | 4/8/2038 | 6,360,000 | b | 7,461,164 | ||||
MetLife, Inc., Jr. Sub. Debs. | 6.40 | 12/15/2036 | 3,237,000 | 3,306,819 | |||||
The Allstate Corp., Jr. Sub. Bonds | 6.50 | 5/15/2057 | 2,325,000 | 2,366,229 | |||||
Unum Group, Sr. Unscd. Notes | 6.00 | 6/15/2054 | 1,243,000 | 1,227,661 | |||||
25,122,724 | |||||||||
Internet Software & Services - .1% | |||||||||
Meta Platforms, Inc., Sr. Unscd. Notes | 4.45 | 8/15/2052 | 3,235,000 | 2,840,375 | |||||
Materials - .4% | |||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, Sr. Unscd. Notes | 4.00 | 9/1/2029 | 797,000 | b | 677,845 | ||||
Sealed Air Corp., Gtd. Notes | 6.50 | 7/15/2032 | 3,400,000 | b | 3,450,065 | ||||
Sealed Air Corp., Sr. Scd. Notes | 1.57 | 10/15/2026 | 3,734,000 | b | 3,449,174 | ||||
7,577,084 | |||||||||
Media - .8% | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Scd. Notes | 5.38 | 5/1/2047 | 1,446,000 | 1,197,816 | |||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Sr. Scd. Notes | 5.75 | 4/1/2048 | 6,154,000 | 5,320,682 | |||||
Paramount Global, Jr. Sub. Notes | 6.38 | 3/30/2062 | 5,015,000 | 4,608,909 | |||||
Sunrise Finco I BV, Sr. Scd. Notes | 4.88 | 7/15/2031 | 4,750,000 | b | 4,326,110 | ||||
15,453,517 |
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Metals & Mining - .5% | |||||||||
AngloGold Ashanti Holdings PLC, Gtd. Notes | 3.75 | 10/1/2030 | 2,163,000 | 1,932,796 | |||||
Cleveland-Cliffs, Inc., Gtd. Notes | 7.00 | 3/15/2032 | 4,587,000 | b,e | 4,609,307 | ||||
Newmont Corp./Newcrest Finance Pty Ltd., Gtd. Notes | 3.25 | 5/13/2030 | 1,171,000 | b | 1,086,735 | ||||
Vale Overseas Ltd., Gtd. Notes | 6.40 | 6/28/2054 | 2,927,000 | 2,925,624 | |||||
10,554,462 | |||||||||
Municipal Securities - .4% | |||||||||
California, GO (Build America Bonds) | 7.30 | 10/1/2039 | 3,705,000 | 4,376,949 | |||||
Michigan, Revenue Bonds, Refunding, Ser. C | 3.60 | 4/1/2047 | 2,449,000 | 2,096,901 | |||||
New York City, GO (Build America Bonds) Ser. D | 5.99 | 12/1/2036 | 980,000 | 1,028,009 | |||||
7,501,859 | |||||||||
Real Estate - 2.9% | |||||||||
Agree LP, Gtd. Notes | 2.00 | 6/15/2028 | 8,850,000 | 7,956,987 | |||||
Alexandria Real Estate Equities, Inc., Gtd. Notes | 4.75 | 4/15/2035 | 566,000 | 537,649 | |||||
American Homes 4 Rent LP, Sr. Unscd. Notes | 5.50 | 2/1/2034 | 5,475,000 | 5,513,303 | |||||
American Tower Corp., Sr. Unscd. Notes | 5.55 | 7/15/2033 | 2,412,000 | 2,473,701 | |||||
Brixmor Operating Partnership LP, Sr. Unscd. Notes | 3.85 | 2/1/2025 | 1,158,000 | 1,146,855 | |||||
EPR Properties, Gtd. Notes | 4.50 | 4/1/2025 | 3,802,000 | 3,776,544 | |||||
EPR Properties, Gtd. Notes | 4.75 | 12/15/2026 | 5,000,000 | 4,921,282 | |||||
Extra Space Storage LP, Gtd. Notes | 2.35 | 3/15/2032 | 1,582,000 | 1,294,141 | |||||
Extra Space Storage LP, Gtd. Notes | 5.70 | 4/1/2028 | 860,000 | 882,460 | |||||
Healthcare Realty Holdings LP, Gtd. Notes | 3.50 | 8/1/2026 | 7,500,000 | 7,265,367 | |||||
Kite Realty Group LP, Sr. Unscd. Notes | 4.00 | 10/1/2026 | 1,071,000 | 1,045,104 | |||||
Kite Realty Group LP, Sr. Unscd. Notes | 5.50 | 3/1/2034 | 407,000 | 408,802 | |||||
Kite Realty Group Trust, Sr. Unscd. Notes | 4.00 | 3/15/2025 | 1,250,000 | 1,236,517 | |||||
Phillips Edison Grocery Center Operating Partnership I LP, Gtd. Notes | 5.75 | 7/15/2034 | 2,012,000 | 2,042,574 | |||||
Rexford Industrial Realty LP, Gtd. Notes | 2.15 | 9/1/2031 | 2,170,000 | 1,773,759 | |||||
SBA Tower Trust, Asset Backed Notes | 2.59 | 10/15/2031 | 3,251,000 | b | 2,716,169 | ||||
Scentre Group Trust 2, Gtd. Bonds | 4.75 | 9/24/2080 | 9,348,000 | b | 9,107,372 | ||||
VICI Properties LP/VICI Note Co., Inc., Gtd. Notes | 3.50 | 2/15/2025 | 2,785,000 | b | 2,748,013 | ||||
56,846,599 | |||||||||
Retailing - .7% | |||||||||
Asbury Automotive Group, Inc., Gtd. Notes | 5.00 | 2/15/2032 | 5,185,000 | b | 4,781,864 | ||||
AutoZone, Inc., Sr. Unscd. Notes | 4.75 | 2/1/2033 | 2,195,000 | 2,145,439 | |||||
Lowe's Cos., Inc., Sr. Unscd. Notes | 5.63 | 4/15/2053 | 5,205,000 | 5,161,229 | |||||
Macy's Retail Holdings LLC, Gtd. Notes | 5.88 | 3/15/2030 | 1,672,000 | b | 1,606,252 | ||||
Murphy Oil USA, Inc., Gtd. Notes | 3.75 | 2/15/2031 | 643,000 | b | 571,498 | ||||
14,266,282 | |||||||||
Semiconductors & Semiconductor Equipment - .8% | |||||||||
Broadcom, Inc., Gtd. Notes | 4.15 | 11/15/2030 | 2,922,000 | 2,815,975 | |||||
Broadcom, Inc., Sr. Unscd. Notes | 3.19 | 11/15/2036 | 2,000,000 | b | 1,632,139 | ||||
Broadcom, Inc., Sr. Unscd. Notes | 4.93 | 5/15/2037 | 3,960,000 | b | 3,823,583 | ||||
Micron Technology, Inc., Sr. Unscd. Notes | 5.30 | 1/15/2031 | 1,347,000 | 1,371,482 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Semiconductors & Semiconductor Equipment - .8% (continued) | |||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., Gtd. Notes | 3.25 | 5/11/2041 | 6,525,000 | 4,879,133 | |||||
NXP BV/NXP Funding LLC/NXP USA, Inc., Gtd. Notes | 4.30 | 6/18/2029 | 1,708,000 | 1,670,270 | |||||
16,192,582 | |||||||||
Technology Hardware & Equipment - .2% | |||||||||
Dell International LLC/EMC Corp., Gtd. Notes | 3.45 | 12/15/2051 | 1,373,000 | 959,536 | |||||
Dell International LLC/EMC Corp., Sr. Unscd. Notes | 5.85 | 7/15/2025 | 1,233,000 | 1,238,208 | |||||
Dell International LLC/EMC Corp., Sr. Unscd. Notes | 6.02 | 6/15/2026 | 472,000 | 479,924 | |||||
Kyndryl Holdings, Inc., Sr. Unscd. Notes | 2.05 | 10/15/2026 | 1,821,000 | 1,701,234 | |||||
4,378,902 | |||||||||
Telecommunication Services - 1.8% | |||||||||
AT&T, Inc., Sr. Unscd. Bonds | 4.90 | 8/15/2037 | 1,065,000 | 1,021,205 | |||||
AT&T, Inc., Sr. Unscd. Notes | 2.55 | 12/1/2033 | 9,905,000 | 8,104,480 | |||||
Iliad Holding SASU, Sr. Scd. Bonds | 8.50 | 4/15/2031 | 1,849,000 | b | 1,927,586 | ||||
Telefonica Emisiones SA, Gtd. Notes | 5.21 | 3/8/2047 | 1,010,000 | 923,832 | |||||
T-Mobile USA, Inc., Gtd. Notes | 2.40 | 3/15/2029 | 2,093,000 | 1,891,215 | |||||
T-Mobile USA, Inc., Gtd. Notes | 6.00 | 6/15/2054 | 2,574,000 | 2,724,449 | |||||
Verizon Communications, Inc., Sr. Unscd. Notes | EUR | 3.50 | 6/28/2032 | 16,048,000 | 17,500,458 | ||||
Verizon Communications, Inc., Sr. Unscd. Notes | 4.02 | 12/3/2029 | 2,045,000 | 1,977,110 | |||||
36,070,335 | |||||||||
Transportation - .3% | |||||||||
Norfolk Southern Corp., Sr. Unscd. Notes | 5.55 | 3/15/2034 | 1,544,000 | 1,616,188 | |||||
XPO, Inc., Gtd. Notes | 7.13 | 2/1/2032 | 4,390,000 | b | 4,543,384 | ||||
6,159,572 | |||||||||
U.S. Government Agencies Collateralized Mortgage Obligations - .3% | |||||||||
Federal Home Loan Mortgage Corp., REMIC, Ser. 5010, Cl. EA | 1.00 | 8/15/2047 | 4,203,079 | f | 3,761,086 | ||||
Government National Mortgage Association, Ser. 2023-19, Cl. WB | 5.67 | 11/20/2051 | 1,481,440 | 1,519,863 | |||||
5,280,949 | |||||||||
U.S. Government Agencies Mortgage-Backed - 30.6% | |||||||||
Federal Home Loan Mortgage Corp.: | |||||||||
2.00%, 9/1/2050-3/1/2051 | 10,576,921 | f | 8,627,291 | ||||||
2.50%, 7/1/2050-3/1/2052 | 75,838,922 | f | 64,794,948 | ||||||
3.00%, 9/1/2047-7/1/2052 | 37,460,600 | f | 33,208,603 | ||||||
3.50%, 8/1/2046-12/1/2048 | 47,058,204 | f | 43,517,619 | ||||||
4.50%, 6/1/2052-10/1/2052 | 8,645,515 | f | 8,369,721 | ||||||
5.00%, 9/1/2052-5/1/2054 | 25,496,455 | f | 25,358,796 | ||||||
5.50%, 9/1/2052-5/1/2054 | 47,778,935 | f | 48,380,036 | ||||||
6.00%, 9/1/2053-11/1/2053 | 47,608,845 | f | 48,804,232 | ||||||
Federal National Mortgage Association: | |||||||||
2.00%, 3/1/2036-9/1/2050 | 17,670,309 | f | 15,373,160 |
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
U.S. Government Agencies Mortgage-Backed - 30.6% (continued) | |||||||||
2.50%, 5/1/2037-4/1/2052 | 57,106,356 | f | 49,051,093 | ||||||
3.00%, 10/1/2030-3/1/2052 | 85,859,122 | f | 76,803,391 | ||||||
3.50%, 11/1/2042-5/1/2052 | 36,651,829 | f | 33,724,851 | ||||||
4.00%, 5/1/2052-7/1/2052 | 37,107,732 | f | 35,088,491 | ||||||
4.50%, 3/1/2038-7/1/2052 | 26,855,495 | f | 26,310,852 | ||||||
5.00%, 7/1/2052-7/1/2053 | 28,710,382 | f | 28,557,248 | ||||||
5.50%, 11/1/2052 | 4,843,654 | f | 4,870,622 | ||||||
6.50%, 4/1/2054 | 15,578,305 | f | 16,217,678 | ||||||
Government National Mortgage Association II: | |||||||||
2.00%, 10/20/2050 | 7,639,646 | 6,251,322 | |||||||
2.50%, 10/20/2046-10/20/2050 | 26,263,720 | 22,962,386 | |||||||
3.00%, 8/20/2046-12/20/2048 | 5,521,541 | 5,003,494 | |||||||
4.00%, 1/20/2048 | 683,433 | 654,302 | |||||||
4.50%, 7/20/2048 | 1,277,944 | 1,254,579 | |||||||
603,184,715 | |||||||||
U.S. Treasury Securities - 10.9% | |||||||||
U.S. Treasury Bonds | 3.88 | 2/15/2043 | 25,989,300 | 24,234,515 | |||||
U.S. Treasury Bonds | 4.38 | 8/15/2043 | 10,335,200 | 10,287,965 | |||||
U.S. Treasury Bonds | 4.50 | 2/15/2044 | 15,431,000 | 15,590,132 | |||||
U.S. Treasury Bonds | 4.63 | 5/15/2044 | 14,531,000 | e | 14,924,926 | ||||
U.S. Treasury Bonds | 4.63 | 5/15/2054 | 14,029,000 | 14,693,185 | |||||
U.S. Treasury Bonds | 4.75 | 11/15/2043 | 44,853,000 | 46,857,368 | |||||
U.S. Treasury Notes | 3.63 | 3/31/2030 | 2,325,000 | 2,286,084 | |||||
U.S. Treasury Notes | 4.00 | 2/15/2034 | 18,734,700 | e | 18,660,054 | ||||
U.S. Treasury Notes | 4.13 | 3/31/2031 | 7,181,000 | 7,249,724 | |||||
U.S. Treasury Notes | 4.13 | 3/31/2029 | 14,188,000 | 14,298,290 | |||||
U.S. Treasury Notes | 4.25 | 6/30/2031 | 8,276,400 | e | 8,419,944 | ||||
U.S. Treasury Notes | 4.25 | 6/30/2029 | 6,767,500 | e | 6,862,139 | ||||
U.S. Treasury Notes | 4.25 | 5/31/2025 | 5,804,000 | e | 5,774,811 | ||||
U.S. Treasury Notes | 4.38 | 5/15/2034 | 7,290,000 | e | 7,477,376 | ||||
U.S. Treasury Notes | 4.88 | 11/30/2025 | 17,191,000 | 17,260,503 | |||||
214,877,016 | |||||||||
Utilities - 3.7% | |||||||||
AES Andes SA, Jr. Sub. Notes | 6.35 | 10/7/2079 | 2,167,000 | b | 2,141,698 | ||||
AES Panama Generation Holdings SRL, Sr. Scd. Notes | 4.38 | 5/31/2030 | 1,961,146 | b | 1,732,408 | ||||
Ameren Corp., Sr. Unscd. Notes | 1.75 | 3/15/2028 | 3,952,000 | 3,558,927 | |||||
Arizona Public Service Co., Sr. Unscd. Notes | 4.25 | 3/1/2049 | 4,338,000 | 3,525,879 | |||||
Baltimore Gas & Electric Co., Sr. Unscd. Notes | 2.25 | 6/15/2031 | 5,026,000 | 4,299,807 | |||||
CMS Energy Corp., Jr. Sub. Notes | 3.75 | 12/1/2050 | 1,186,000 | 997,400 | |||||
Consolidated Edison Company of New York, Inc., Sr. Unscd. Debs., Ser. 20B | 3.95 | 4/1/2050 | 1,753,000 | 1,419,745 | |||||
Consolidated Edison Company of New York, Inc., Sr. Unscd. Notes | 5.90 | 11/15/2053 | 1,402,000 | 1,479,079 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Description | Coupon | Maturity | Principal | a | Value ($) | ||||
Bonds and Notes - 97.7% (continued) | |||||||||
Utilities - 3.7% (continued) | |||||||||
Constellation Energy Generation LLC, Sr. Unscd. Notes | 5.80 | 3/1/2033 | 2,736,000 | 2,847,625 | |||||
DTE Energy Co., Sr. Unscd. Notes | 4.95 | 7/1/2027 | 2,703,000 | 2,713,587 | |||||
Duke Energy Corp., Sr. Unscd. Notes | 5.00 | 8/15/2052 | 5,050,000 | 4,534,325 | |||||
Edison International, Jr. Sub. Bonds, Ser. A | 5.38 | 3/15/2026 | 4,365,000 | d | 4,276,158 | ||||
Electricite de France SA, Jr. Sub. Notes | 9.13 | 3/15/2033 | 1,272,000 | b,d | 1,412,470 | ||||
Electricite de France SA, Sr. Unscd. Notes | 5.70 | 5/23/2028 | 583,000 | b | 599,511 | ||||
Electricite de France SA, Sr. Unscd. Notes | 6.90 | 5/23/2053 | 1,361,000 | b | 1,518,236 | ||||
Enel Finance America LLC, Gtd. Notes | 7.10 | 10/14/2027 | 820,000 | b | 872,009 | ||||
Enel Finance International NV, Gtd. Notes | 5.50 | 6/26/2034 | 1,492,000 | b | 1,493,877 | ||||
Enel Finance International NV, Gtd. Notes | 7.50 | 10/14/2032 | 871,000 | b | 989,972 | ||||
Eversource Energy, Sr. Unscd. Notes | 5.50 | 1/1/2034 | 1,197,000 | 1,206,771 | |||||
Exelon Corp., Sr. Unscd. Notes | 4.05 | 4/15/2030 | 5,833,000 | 5,616,904 | |||||
Exelon Corp., Sr. Unscd. Notes | 5.45 | 3/15/2034 | 882,000 | 900,163 | |||||
FirstEnergy Corp., Sr. Unscd. Notes, Ser. C | 4.85 | 7/15/2047 | 1,379,000 | 1,213,264 | |||||
IPALCO Enterprises, Inc., Sr. Scd. Notes | 4.25 | 5/1/2030 | 1,814,000 | 1,722,426 | |||||
IPALCO Enterprises, Inc., Sr. Scd. Notes | 5.75 | 4/1/2034 | 2,329,000 | 2,377,613 | |||||
Jersey Central Power & Light Co., Sr. Unscd. Notes | 2.75 | 3/1/2032 | 1,810,000 | b | 1,539,073 | ||||
Louisville Gas & Electric Co., First Mortgage Bonds | 4.38 | 10/1/2045 | 1,410,000 | 1,210,843 | |||||
Niagara Mohawk Power Corp., Sr. Unscd. Notes | 5.66 | 1/17/2054 | 878,000 | b | 870,917 | ||||
NiSource, Inc., Sr. Unscd. Notes | 3.60 | 5/1/2030 | 1,297,000 | 1,219,219 | |||||
NiSource, Inc., Sr. Unscd. Notes | 5.35 | 4/1/2034 | 2,152,000 | 2,169,103 | |||||
Pacific Gas & Electric Co., First Mortgage Bonds | 2.10 | 8/1/2027 | 2,060,000 | 1,890,452 | |||||
Piedmont Natural Gas Co., Inc., Sr. Unscd. Notes | 3.50 | 6/1/2029 | 3,262,000 | 3,081,305 | |||||
Public Service Enterprise Group, Inc., Sr. Unscd. Notes | 5.45 | 4/1/2034 | 2,403,000 | 2,445,118 | |||||
Public Service Enterprise Group, Inc., Sr. Unscd. Notes | 6.13 | 10/15/2033 | 1,574,000 | 1,676,642 | |||||
Puget Energy, Inc., Sr. Scd. Notes | 2.38 | 6/15/2028 | 1,709,000 | 1,545,183 | |||||
Rochester Gas & Electric Corp., First Mortgage Bonds | 3.10 | 6/1/2027 | 1,969,000 | b | 1,882,701 | ||||
72,980,410 | |||||||||
Total Bonds
and Notes | 1,923,704,960 | ||||||||
Description | 1-Day | Shares | Value ($) | ||||||
Investment Companies - .6% | |||||||||
Registered Investment Companies - .6% | |||||||||
Dreyfus
Institutional Preferred Government Plus Money Market Fund, Institutional Shares | 5.44 | 11,053,535 | g | 11,053,535 |
Investment of Cash Collateral for Securities Loaned - .5% | |||||||||
Registered Investment Companies - .5% | |||||||||
Dreyfus Institutional Preferred Government
Plus Money Market Fund, Institutional Shares | 5.44 | 9,720,380 | g | 9,720,380 | |||||
Total Investments (cost $1,975,665,067) | 98.8% | 1,944,478,875 | |||||||
Cash and Receivables (Net) | 1.2% | 24,053,293 | |||||||
Net Assets | 100.0% | 1,968,532,168 |
REMIC—Real Estate Mortgage Investment Conduit
SOFR—Secured Overnight Financing Rate
TSFR—Term Secured Overnight Financing Rate Reference Rates
AUD—Australian Dollar
EUR—Euro
PEN—Peruvian Nuevo Sol
RON—Romanian Leu
a Amount stated in U.S. Dollars unless otherwise noted above.
b Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2024, these securities were valued at $488,248,649 or 24.8% of net assets.
c Variable rate security—interest rate resets periodically and rate shown is the interest rate in effect at period end. Security description also includes the reference rate and spread if published and available.
d Security is a perpetual bond with no specified maturity date. Maturity date shown is next reset date of the bond.
e Security, or portion thereof, on loan. At July 31, 2024, the value of the fund’s securities on loan was $38,227,760 and the value of the collateral was $39,463,987, consisting of cash collateral of $9,720,380 and U.S. Government & Agency securities valued at $29,743,607. In addition, the value of collateral may include pending sales that are also on loan.
f The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies.
g Investment in affiliated issuer. The investment objective of this investment company is publicly available and can be found within the investment company’s prospectus.
Futures | ||||||
Description | Number | Expiration | Notional | Market | Unrealized | |
Futures Long | ||||||
Australian 10 Year Bond | 264 | 9/16/2024 | 19,591,904a | 19,902,559 | 310,655 | |
Euro-Bobl | 809 | 9/6/2024 | 102,244,193a | 102,884,735 | 640,542 | |
U.S. Treasury 2 Year Notes | 690 | 9/30/2024 | 140,749,399 | 141,703,360 | 953,961 | |
U.S. Treasury 5 Year Notes | 5,637 | 9/30/2024 | 598,102,156 | 608,179,481 | 10,077,325 | |
U.S. Treasury Long Bond | 608 | 9/19/2024 | 71,039,994 | 73,435,000 | 2,395,006 | |
Futures Short | ||||||
10 Year U.S. Treasury Notes | 290 | 9/19/2024 | 33,163,482 | 33,517,658 | (354,176) | |
Canadian 10 Year Bond | 1,072 | 9/18/2024 | 92,938,666a | 95,456,256 | (2,517,590) | |
Euro-Bond | 98 | 9/6/2024 | 13,758,068a | 14,183,471 | (425,403) | |
Japanese 10 Year Bond | 74 | 9/12/2024 | 70,847,726a | 70,500,184 | 347,542 | |
U.S. Treasury 10 Year Notes | 267 | 9/19/2024 | 29,210,521 | 29,853,938 | (643,417) | |
U.S. Treasury Ultra Long Bond | 92 | 9/19/2024 | 11,569,167 | 11,773,125 | (203,958) | |
Gross Unrealized Appreciation | 14,725,031 | |||||
Gross Unrealized Depreciation | (4,144,544) |
a Notional amounts in foreign currency have been converted to USD using relevant foreign exchange rates.
See notes to financial statements.
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Forward Foreign Currency Exchange Contracts | |||||
Counterparty/ Purchased | Purchased
Currency | Currency | Sold
| Settlement Date | Unrealized Appreciation (Depreciation) ($) |
Barclays Capital, Inc. | |||||
United States Dollar | 166,322 | Euro | 152,000 | 8/13/2024 | 1,719 |
Citigroup Global Markets, Inc. | |||||
British Pound | 169,000 | United States Dollar | 214,130 | 8/13/2024 | 3,156 |
United States Dollar | 88,348 | British Pound | 68,000 | 8/13/2024 | 919 |
Euro | 249,000 | United States Dollar | 272,471 | 8/13/2024 | (2,826) |
Goldman Sachs & Co. LLC | |||||
United States Dollar | 96,763 | Swedish Krona | 1,046,000 | 8/13/2024 | (974) |
United States Dollar | 14,414,239 | Peruvian Nuevo Sol | 55,515,000 | 8/13/2024 | (437,038) |
United States Dollar | 13,827,012 | Romanian Leu | 64,018,000 | 8/13/2024 | (96,097) |
United States Dollar | 14,070,194 | Australian Dollar | 21,090,000 | 8/13/2024 | 273,623 |
United States Dollar | 21,751,966 | Euro | 20,183,000 | 8/13/2024 | (104,451) |
Canadian Dollar | 2,830,000 | United States Dollar | 2,067,674 | 8/13/2024 | (17,142) |
Gross Unrealized Appreciation | 279,417 | ||||
Gross Unrealized Depreciation | (658,528) |
See notes to financial statements.
Centrally Cleared Interest Rate Swaps | |||||||
Received | Paid | Maturity Date | Notional | Market
| Upfront | Unrealized Appreciation (Depreciation) ($) | |
EUR Maturity Fixed at 2.53% | EUR - CPTFEMU at Maturity | 4/22/2054 | 14,058,427 | 631,035 | (42,621) | 673,656 | |
GBP Maturity Fixed at 3.78% | GBP - UKRPI at Maturity | 4/22/2034 | 23,229,889 | 477,326 | (18,537) | 495,863 | |
USD - CPURNSA at Maturity | USD Maturity Fixed at 2.53% | 4/22/2054 | 20,690,000 | (487,663) | 2,505 | (490,168) | |
GBP Maturity Fixed at 3.71% | GBP - UKRPI at Maturity | 5/16/2034 | 25,286,769 | 400,612 | 12,842 | 387,770 | |
USD - CPURNSA at Maturity | USD Maturity Fixed at 2.51% | 7/5/2054 | 10,345,000 | (216,940) | - | (216,940) | |
USD - CPURNSA at Maturity | USD Maturity Fixed at 2.48% | 7/11/2054 | 10,410,000 | (147,106) | 3,294 | (150,400) | |
EUR Maturity Fixed at 2.46% | EUR - CPTFEMU at Maturity | 7/9/2054 | 9,843,064 | 230,370 | - | 230,370 | |
EUR - CPTFEMU at Maturity | EUR Maturity Fixed at 2.46% | 7/9/2054 | 9,843,064 | 236,352 | - | 236,352 | |
EUR 12 Month Fixed at 2.70% | EUR - 6 Month Euribor at 3.58% | 7/26/2029 | 69,264,000 | 363,200 | - | 363,200 | |
SEK - 3 Month STIBOR at 3.61% | SEK 12 Month Fixed at 2.39% | 7/26/2029 | 65,084,227 | (364,416) | - | (364,416) | |
Gross Unrealized Appreciation | 2,387,211 | ||||||
Gross Unrealized Depreciation | (1,221,924) |
EUR—Euro
GBP—British Pound
SEK—Swedish Krona
USD—United States Dollar
CPTFEMU—Eurostat Eurozone HICP Ex Tobacco Unrevised NSA
CPURNSA—US CPI Urban Consumers NSA
UKRPI—UK RPI All Items NSA
See notes to financial statements.
STATEMENT
OF INVESTMENTS
BNY Mellon Insight Core Plus Fund
July 31, 2024 (Unaudited)
The following is a summary of the inputs used as of July 31, 2024 in valuing the fund’s investments:
Level 1-Unadjusted Quoted Prices | Level 2- Other Significant Observable Inputs | Level 3-Significant Unobservable Inputs | Total | |||
Assets ($) | ||||||
Investments in Securities:† | ||||||
Asset-Backed Securities | - | 97,512,182 | - | 97,512,182 | ||
Collateralized Loan Obligations | - | 58,486,959 | - | 58,486,959 | ||
Commercial Mortgage-Backed | - | 38,731,467 | - | 38,731,467 | ||
Corporate Bonds | - | 844,585,258 | - | 844,585,258 | ||
Foreign Governmental | - | 53,544,555 | - | 53,544,555 | ||
Investment Companies | 20,773,915 | - | - | 20,773,915 | ||
Municipal Securities | - | 7,501,859 | - | 7,501,859 | ||
U.S. Government Agencies Collateralized Mortgage Obligations | - | 5,280,949 | - | 5,280,949 | ||
U.S. Government Agencies Mortgage-Backed | - | 603,184,715 | - | 603,184,715 | ||
U.S. Treasury Securities | - | 214,877,016 | - | 214,877,016 | ||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | 279,417 | - | 279,417 | ||
Futures†† | 14,725,031 | - | - | 14,725,031 | ||
Swap Agreements†† | - | 2,387,211 | - | 2,387,211 | ||
Liabilities ($) | ||||||
Other Financial Instruments: | ||||||
Forward Foreign Currency Exchange Contracts†† | - | (658,528) | - | (658,528) | ||
Futures†† | (4,144,544) | - | - | (4,144,544) | ||
Swap Agreements†† | - | (1,221,924) | - | (1,221,924) |
† See Statement of Investments for additional detailed categorizations, if any.
†† Amount shown represents unrealized appreciation (depreciation) at period end.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the SEC under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund is an investment company and applies the accounting and reporting guidance of the FASB ASC Topic 946 Financial Services-Investment Companies. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows:
The Company’s Board of Directors (the “Board”) has designated the Adviser as the fund’s valuation designee to make all fair value determinations with respect to the fund’s portfolio investments, subject to the Board’s oversight and pursuant to Rule 2a-5 under the Act.
Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.
Investments in debt securities, excluding short-term investments (other than U.S. Treasury Bills)financial futures, options and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by one or more independent pricing services (each, a “Service”) approved by the Board. Investments for which quoted bid prices are readily available and are representative of the bid side of the market in the judgment of a Service are valued at the mean between the quoted bid prices (as obtained by a Service from dealers in such securities) and asked prices (as calculated by a Service based upon its evaluation of the market for such securities). Securities are valued as determined by a Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. The Services are engaged under the general supervision of the Board. These securities are generally categorized within Level 2 of the fair value hierarchy.U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.
When market quotations or official closing prices are not readily available, or are determined not to accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.
For securities where observable inputs are limited, assumptions about market activity and risk are used and such securities are generally categorized within Level 3 of the fair value hierarchy.
Financial futures and options, which are traded on an exchange, are valued at the last sales price on the securities exchange on which such securities are primarily traded or at the last sales price on the national securities market on each business day and are generally categorized within Level 1 of the fair value hierarchy. Options traded over-the-counter (“OTC”) are valued at the mean between the bid and asked price and are generally categorized within Level 2 of the fair value hierarchy. Investments in swap transactions are valued each business day by the Service. Swaps are valued by the Service by using a swap pricing model which incorporates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads on
interest rates and are generally categorized within Level 2 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of BNY Mellon Investment Adviser, Inc., the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by BNY Mellon Investment Adviser Inc., or U.S. Government and Agency securities. The fund is entitled to receive all dividends, interest and distributions on securities loaned, in addition to income earned as a result of the lending transaction. Should a borrower fail to return the securities in a timely manner, The Bank of New York Mellon is required to replace the securities for the benefit of the fund or credit the fund with the market value of the unreturned securities and is subrogated to the fund’s rights against the borrower and the collateral. Additionally, the contractual maturity of security lending transactions are on an overnight and continuous basis.
Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at July 31, 2024 is discussed below.
Futures: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including interest rate risk as a result of changes in value of underlying financial instruments. The fund invests in futures in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a counterparty, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. When the contracts are closed, the fund recognizes a realized gain or loss which is reflected in the Statement of Operations. There is minimal counterparty credit risk to the fund with futures since they are exchange traded, and the exchange guarantees the futures against default.
Forward Foreign Currency Exchange Contracts: The fund enters into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of its investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund incurs a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the fund incurs a loss if the value
of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty non-performance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.
Swap Agreements: The fund enters into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. Swap agreements are privately negotiated in the OTC market or centrally cleared. The fund enters into these agreements to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.
For OTC swaps, the fund accrues for interim payments on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap agreements in the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as a realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swap agreements in the Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the agreement’s term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on the termination date. Upon entering into centrally cleared swap agreements, an initial margin deposit is required with a counterparty, which consists of cash or cash equivalents. The amount of these deposits is determined by the exchange on which the agreement is traded and is subject to change. The change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including upon termination, are recorded as realized gain (loss) in the Statement of Operations.
Fluctuations in the value of swap agreements are recorded for financial statement purposes as unrealized appreciation or depreciation on swap agreements.
Interest Rate Swaps: Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional principal amount. The fund may elect to pay a fixed rate and receive a floating rate, or receive a fixed rate and pay a floating rate on a notional principal amount. The net interest received or paid on interest rate swap agreements is included within realized gain (loss) on swap agreements in the Statement of Operations. Interest rate swap agreements are subject to general market risk, liquidity risk, counterparty risk and interest rate risk.
For OTC swaps, the fund’s maximum risk of loss from counterparty risk is the discounted value of the cash flows to be received from the counterparty over the agreement’s remaining life, to the extent that the amount is positive. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty. There is minimal counterparty risk to the fund with centrally cleared swaps since they are exchange traded and the exchange guarantees these swaps against default. Interest rate swaps open at July 31, 2024 are set forth in the Statement of Investments.
At July 31, 2024, accumulated net unrealized depreciation on investments was $19,819,529, consisting of $44,049,928 gross unrealized appreciation and $63,869,457 gross unrealized depreciation.
At July 31, 2024, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.